Abstract
In this paper, we consider Mean Field Games in the presence of common noise relaxing the usual independence assumption of individual random noise. We assume a simple linear model with terminal cost satisfying a convexity and a weak monotonicity property. Our main result is showing existence and uniqueness of a Mean Field Game solution using the Stochastic Maximum Principle. The uniqueness is a result of a monotonicity property similar to that of Lasry and Lions. We use the Banach Fixed Point Theorem to establish an existence over small time duration and show that it can be extended over an arbitrary finite time duration.
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